We are hiring ! See our job offers.
https://github.com/cran/nacopula
Revision 161411bb86f97e5a8bd89091cd61d03a33c2761a authored by Martin Maechler on 06 February 2012, 00:00:00 UTC, committed by Gabor Csardi on 06 February 2012, 00:00:00 UTC
1 parent 5bc804b
Raw File
Tip revision: 161411bb86f97e5a8bd89091cd61d03a33c2761a authored by Martin Maechler on 06 February 2012, 00:00:00 UTC
version 0.8-0
Tip revision: 161411b
opower.Rd
\name{opower}
\alias{opower}
\title{Outer Power Transformation of Archimedean Copulas}
\usage{
opower(copbase, thetabase)
}
\description{
  Build a new Archimedean copula by applying the outer power
  transformation to a given \ifelse{latex}{Archi-medean}{Archimedean} copula.
}
\arguments{
  \item{copbase}{a "base" copula, that is, a copula of class
    \code{\linkS4class{acopula}}.  Must be one of the predefined families.}
  \item{thetabase}{the univariate parameter \eqn{\theta}{theta} for the
    generator of the base copula \code{copbase}.  Hence, the copula which
    is transformed is fixed, that is, does not depend on a parameter.}
}
\value{a new \code{\linkS4class{acopula}} object, namely the outer power copula
  based on the provided copula family \code{copbase} with fixed
  parameter \code{thetabase}.  The transform introduces a parameter
  \code{theta}, so one obtains a parametric Archimedean family object as
  return value.

  The \code{\link{environment}} of all function slots contains objects \code{cOP}
  (which is the outer power copula itself), \code{copbase}, and \code{thetabase}.
}
\author{Marius Hofert}
\references{ 
  Hofert, M. (2010),
  \emph{Sampling Nested Archimedean Copulas with Applications to CDO Pricing},
  Suedwestdeutscher Verlag fuer Hochschulschriften AG & Co. KG.
}
\seealso{
  The class \code{\linkS4class{acopula}} and our predefined "acopula"
  family objects in \code{\link{acopula-families}}.
}
\examples{
## Construct an outer power Clayton copula with parameter thetabase such 
## that Kendall's tau equals 0.2
thetabase <- copClayton@tauInv(0.2)
opC <- opower(copClayton, thetabase) # "acopula" obj. (unspecified theta)

## Construct a 3d nested Archimedean copula based on opC, that is, a nested 
## outer power Clayton copula.  The parameters theta are chosen such that
## Kendall's tau equals 0.4 and 0.6 for the outer and inner sector,
## respectively.
theta0 <- opC@tauInv(0.4)
theta1 <- opC@tauInv(0.6)
opC3d <- onacopulaL(opC, list(theta0, 1, list(list(theta1, 2:3))))
## or opC3d <- onacopula(opC, C(theta0, 1, C(theta1, c(2,3))))

## Compute the corresponding lower and upper tail-dependence coefficients
rbind(theta0 = c(
      lambdaL = opC@lambdaL(theta0),
      lambdaU = opC@lambdaU(theta0) # => opC3d has upper tail dependence
      ),
      theta1 = c(
      lambdaL = opC@lambdaL(theta1),
      lambdaU = opC@lambdaU(theta1) # => opC3d has upper tail dependence
      ))

## Sample opC3d
n <- 1000
U <- rnacopula(n, opC3d)

## Plot the generated vectors of random variates of the nested outer
## power Clayton copula.
splom2(U)

## Construct such random variates "by hand"
## (1) draw V0 and V01
V0  <- opC@ V0(n, theta0)
V01 <- opC@V01(V0, theta0, theta1)
## (2) build U
U <- cbind(
opC@psi(rexp(n)/V0,  theta0),
opC@psi(rexp(n)/V01, theta1),
opC@psi(rexp(n)/V01, theta1))
}
\keyword{distribution}
back to top